Spillovers and connectedness between green bond and stock markets in bearish and bullish market scenarios

•This study examines the quantile connectedness between eight green bonds and the S&P 500 index.•Green bonds and the S&P 500 index exhibit stronger connectedness during crises.•Green bonds are relatively less volatile during extraordinary events.•The quantile spillover largely originates fro...

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Bibliographic Details
Published in:Finance research letters Vol. 49; p. 103120
Main Authors: Mensi, Walid, Shafiullah, Muhammad, Vo, Xuan Vinh, Kang, Sang Hoon
Format: Journal Article
Language:English
Published: Elsevier Inc 01.10.2022
Subjects:
COVID-19
Green bonds
Quantile connectedness
S&P 500 index
S&P 500 index
COVID-19
Green bonds
Quantile connectedness
G14
ISSN:1544-6123, 1544-6131
Online Access:Get full text
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Summary:•This study examines the quantile connectedness between eight green bonds and the S&P 500 index.•Green bonds and the S&P 500 index exhibit stronger connectedness during crises.•Green bonds are relatively less volatile during extraordinary events.•The quantile spillover largely originates from their energy and resource. This study examines the quantile connectedness between eight green bonds and the S&P 500 index using the methodology of Ando et al. (2022). We show that green bonds and the S&P 500 index exhibit stronger connectedness during crises (GFC, COVID-19, etc.). Furthermore, green bonds are relatively less volatile during extraordinary events. The distribution tails dictate connectedness (short-term) in the wake of extreme events. The quantile spillover in the green financial markets largely originates from their energy and resource (water conservation) counterparts. These observations underscore the prevalence of upside, downside, and tail risks from green stock markets, particularly following crisis events.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2022.103120